Question
A 3 x 9 FRA is priced at 4.96%. The 180-day rate at the expiration of the contract is expected to be 4.2 percent.Based on
A 3 x 9 FRA is priced at 4.96%. The 180-day rate at the expiration of the contract is expected to be 4.2 percent.Based on the information given and assuming a notional principal of $10 million, what value of the 3 x 9 FRA at time of settlement is ?
$38,000, received by long.
$37,218 received by short.
$19,000 paid by short.
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Small Business Management Launching and Growing New Ventures
Authors: Justin Longenecker, Leo Donlevy, Terri Champion, William Petty, Leslie Palich, Frank Hoy
6th Canadian edition
176532218, 978-0176532215
